Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1029 |
| Annualized Std Dev | 0.4314 |
| Annualized Sharpe (Rf=0%) | -0.2386 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3710.0000 |
| NAs | 1.0000 |
| Minimum | -0.3372 |
| Quartile 1 | -0.0137 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0004 |
| Quartile 3 | 0.0140 |
| Maximum | 0.1955 |
| SE Mean | 0.0004 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0007 |
| Stdev | 0.0272 |
| Skewness | -0.4466 |
| Kurtosis | 11.2299 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0196 |
| Gain Deviation | 0.0189 |
| Loss Deviation | 0.0203 |
| Downside Deviation (MAR=210%) | 0.0241 |
| Downside Deviation (Rf=0%) | 0.0196 |
| Downside Deviation (0%) | 0.0196 |
| Maximum Drawdown | 0.9613 |
| Historical VaR (95%) | -0.0404 |
| Historical ES (95%) | -0.0628 |
| Modified VaR (95%) | -0.0419 |
| Modified ES (95%) | -0.0785 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-06-24 | 2020-03-18 | NA | -0.9613 | 3208 | 2954 | NA |
| 2006-07-05 | 2006-10-03 | 2006-12-14 | -0.2052 | 115 | 64 | 51 |
| 2008-01-04 | 2008-02-06 | 2008-04-14 | -0.1798 | 69 | 23 | 46 |
| 2006-12-15 | 2007-01-11 | 2007-03-26 | -0.1567 | 67 | 17 | 50 |
| 2007-07-24 | 2007-08-16 | 2007-09-19 | -0.1381 | 41 | 18 | 23 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 2.2 | 1.2 | 2.2 | 0.6 | -0.8 | 0.7 | -0.9 | 5.3 |
| 2007 | 0.2 | 0.4 | -1.3 | 0.8 | 0.4 | 0.3 | -1 | 1.7 | 1.7 | -0.8 | -0.8 | -1.2 | 0.3 |
| 2008 | 4.2 | -3.5 | 1.6 | -2.5 | 1.1 | -0.2 | 0.4 | -1.9 | -4.1 | -0.6 | -15.5 | 1.7 | -18.9 |
| 2009 | -2.4 | -1.1 | 1.7 | 2.9 | 4.3 | 0.5 | 1.3 | -2.1 | -3.2 | -5.1 | 1.7 | -0.7 | -2.7 |
| 2010 | 3.2 | 1.4 | 2.4 | -2.2 | -7.3 | 0.6 | 0 | 4.5 | 0.5 | 0.3 | 3 | 0 | 6 |
| 2011 | 1.2 | -2.1 | 0 | 1.4 | -3.3 | 1 | -0.7 | -1.2 | -3.9 | -4.1 | 0.1 | -0.2 | -11.5 |
| 2012 | 1.6 | 1.4 | 0.8 | 1.1 | -3.5 | 3.8 | 0.4 | 1.4 | -0.2 | 1.9 | 0.8 | 2.8 | 12.8 |
| 2013 | 1.9 | -1.4 | -2.6 | -1.9 | -1.7 | 0.9 | 2.2 | -1.4 | 1.3 | -0.7 | 0.4 | 0.9 | -2.1 |
| 2014 | -0.5 | 1.5 | 0 | -1.8 | 0 | -0.2 | -0.6 | 1.1 | -2.7 | 1.2 | -2.5 | -1.1 | -5.7 |
| 2015 | 2.3 | 1.6 | 0.8 | -0.1 | -0.8 | -3.7 | -2.5 | -4.2 | -1.8 | 1.6 | 0.9 | 0.9 | -5.2 |
| 2016 | -3.6 | 1.5 | -3.2 | 1.8 | -0.8 | 3.7 | -4.5 | -1.1 | 1.9 | -0.1 | 2 | 0 | -2.7 |
| 2017 | 0.2 | 2.8 | 1.3 | -1.5 | 1.7 | -0.4 | -1.6 | 2.1 | 0.1 | 0.5 | 3.9 | 0.4 | 9.8 |
| 2018 | 1.9 | 0.3 | 2.8 | -1 | -0.6 | 0 | -1.3 | -0.3 | 1 | 0.5 | -2.8 | 0.3 | 0.6 |
| 2019 | 2.8 | 2.3 | 3.5 | -3.1 | -2.3 | 0.9 | -7 | -1.2 | -4.1 | 4.9 | -1.7 | -0.7 | -6.3 |
| 2020 | -3.1 | 2.9 | -7.5 | -7 | 0.7 | -2.3 | -2.2 | 1.9 | -2.4 | 2.7 | 4.8 | -0.2 | -11.8 |
| 2021 | 1.7 | 5.3 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-22 283. SPY 124. -0.0044 -0.0132 -0.0057 -0.0434 0.0238 0.265 0.0214 GLD 57.7 -0.0103 0.0072
2 2006-06-23 291. SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
3 2006-06-26 288. SPY 125. 0.0044 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
4 2006-06-27 290 SPY 124. -0.0086 -0.0015 -0.0348 -0.0411 0.0399 0.254 0.0121 GLD 57.7 -0.0103 0.0066
5 2006-06-28 293 SPY 125. 0.0068 -0.0021 -0.0107 -0.0406 0.0383 0.277 0.0075 GLD 57.5 -0.00240 -0.0135
6 2006-06-29 303. SPY 127. 0.0202 0.0226 -0.0019 -0.0195 0.0621 0.304 0.036 GLD 59.5 0.0344 0.031
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
